If the emulator identifies itself to the game as an SGB, when no SNES is present, the game would try to play music on a nonexistent chip.
That's exactly what it's doing. The end credits on Donkey Kong uses the SNES sound chip on a Super Gameboy. But since there isn't one available, you don't hear anything. Same as the Pauline screams.
You'll have to pardon me, as I'm not a romhacker, so I may mince terms from time to time. That's unintentional. I'm just trying to describe what I'm experiencing.
The emulator apparently flags the games for SGB support, because it makes all of the palette and border choices as it would in real hardware. For example, in Game & Watch Gallery (the first one), each of the four mini games has its own border and palette, and the emulator switches them accordingly, just like a real SGB. (Side note: Any Gameboy Color games with SGB content will behave differently with the "fake" SGB display, but that's not really at issue here.)
Emulators seem as though they're attempting to access SNES hardware when prompted. For example, there's an interesting side effect when playing Space Invaders in emulation. The cartridge had a separate SNES game built in, which you could select upon boot-up. This select screen shows up in emulation, but obviously nothing happens when you pick the SNES game. (Actually one of my other hack ideas was to bypass this screen in emulation.)
And lastly, the Retron5 may not have a Super Gameboy mode per se, but the emulator it uses sure does. I'm about 90% sure it's VBA. VBA does read for Super Gameboy content, and every Retron5 I've seen can display the games accordingly. And it's the same thing as on the PC. Donkey Kong plays normally, but Pauline and the end credits are silent.
My suggestion was to simply hack the game so that it always plays the DMG sounds, no matter what.